1.1 (10 points) Consider an investor with a mean-variance utility who allocates wealth between one risk free and n risky assets (a) Define the concept of the mean-variance frontier and explain (in words) how it can be derived. Draw a graph of the mean-variance frontier and indicate on it (i) the set of efficient portfolios; and (ii) the portfolio with the lowest possible risk (b) Explain how this investor can construct the Tangency Portfolio and then choose an optimal combination of the risk free and risky assets (c) Draw an indifference curve and indicate the optimal combination of risk free and risky assets for an investor who is very risk averse. Then do the same for an investor is not very risk averse. 1.1 (10 points) Consider an investor with a mean-variance utility who allocates wealth between one risk free and n risky assets (a) Define the concept of the mean-variance frontier and explain (in words) how it can be derived. Draw a graph of the mean-variance frontier and indicate on it (i) the set of efficient portfolios; and (ii) the portfolio with the lowest possible risk (b) Explain how this investor can construct the Tangency Portfolio and then choose an optimal combination of the risk free and risky assets (c) Draw an indifference curve and indicate the optimal combination of risk free and risky assets for an investor who is very risk averse. Then do the same for an investor is not very risk averse